Risk-parameter estimation in volatility models
Year of publication: |
2015
|
---|---|
Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 184.2015, 1, p. 158-173
|
Subject: | GARCH | Quantile regression | Quasi-maximum likelihood | Risk measures | Value-at-Risk | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Risiko | Risk | Messung | Measurement | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Kapitaleinkommen | Capital income |
-
Intrinsic liquidity in conditional volatility models
Darolles, Serge, (2016)
-
Value-at-risk prediction using option-implied risk measures
Schindelhauer, Kai, (2018)
-
Vidal-Llana, Xenxo, (2022)
- More ...
-
GARCH models : structure, statistical inference and financial applications
Francq, Christian, (2010)
-
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
Francq, Christian, (2013)
-
Francq, Christian, (2014)
- More ...